FX and Capital Markets Highlights of the Week May, 7 BRL outperforms peer currencies during the week BRL remains virtually stable in a week of emerging market currencies depreciation Falling commodity prices last week pressured several emerging currencies, including the Brazilian real. However, the approval of the pension reform by a special committee in the Lower House enabled it to outperform its peers, closing the week at. reais per U.S. dollar (Charts,, and 4). Central bank did not intervene in the FX market last week Last week, the monetary authority did not intervene in the FX market. The outstanding amount of FX swap contracts now stands at $ billion (Charts and ). Substantial currency inflows in April April ended with a strong currency inflow of $9. billion. In the final week of the month, $.9 billion trade inflows outsized $. billion financial outflows (Charts 7 and ). $ billion raised abroad last week Last week, a financial institution raised $ billion in overseas markets. Year-to-date, external bond offers add up to $.7 billion vs. $9 billion in the year-earlier period (Chart 9 e table). Foreign flows to the stock market are negative Foreign flows to the stock market are negative by $9 million in May, as $ million outflows from the futures market outsized $ million inflows to the spot market (Chart ). Investors changed their positions in FX derivatives Last week, non-residents increased their long position in dollar futures by $. billion, while reducing their long position in cupom cambial by $. billion. Institutional investors expanded their short position in dollar futures by $.7 billion., banks and institutional investors hold positions of $4 billion, $7. billion and $ -. billion, respectively (Charts,, and 4). Please refer to the last Page of this report for important disclosures, analyst and additional information. Itaú Unibanco or its subsidiaries may do or seek to do business with companies covered in this research report. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should not consider this report as the single factor in making their investment decision.
May-7 Jun-7 Jul-7 Aug-7 Sep-7 Oct-7 Apr- Jun- Aug- Oct- Dec- Feb- Apr- Jun- Aug- Oct- Dec- Feb-7 Apr-7 FX and Capital Markets May, 7....9..7...4... Real: Weekly Evolution reais per dollar...9.7 Daily Trading Range -May -May -May 4-May -May Currencies Volatility* *-day moving st. dev. of log-differences BRL JPY MXN AUD EUR May- Nov- May- Nov- May-7 7 4 Outstanting FX swaps by maturity USD billion 4 4 apreciation Peer-currencies Weekly Performance MXN, -.% BRL, -.% AUD,.% COP,.4% CLP,.% -.% -.%.%.% depreciation Volatility: historic x implied 4 Historic* Implied** May- Sep- Jan-7 May-7 - - - - - - - -4 *-day moving st. dev. of log-differences ** month implied ATM volatility Net increase in FX swap position - - -4 - -7 - - -7 - - - USD billion (+) = increase in BCB short position - -4 Source: BCB, Itaú Source: BCB, Itaú Page
............7......9. 7. FX and Capital Markets May, 7 9 million dollars Daily Flows 7 Exchange Rate Flows Financial* Trade related 4 - - - Trade-related Financial 4-Apr -Apr -Apr 7-Apr -Apr - - *services-related and - capital flows Apr- Oct- Apr- Oct- Apr-7 9 7 4 Source: BCB and Itaú Securities Issuances in the External Market..... May- Nov- May- Nov- May-7 Source: Valor Econômico and Itaú - Source: BCB and Itaú Net Foreign Flows to Brazilian Equities 9 million dollars Spot market Index futures flows - Source: BMF, Bovespa e Itaú May 7: Issuance details Issuer Maturity Value (million $) Financial Institution 7 Page
FX and Capital Markets May, 7 Dollar Future Exposure Institutional Investors 7 Exposure in FX Swaps (+) long dollar Institutional 4 - - 4 - - Cupom Cambial Exposure Institutional investors - 4 FX Derivatives Position* Institutional investors 4 *Dollar futues, cupom - cambial, FX swaps May- Nov- May- Nov- May-7 Macro Research Itaú Mario Mesquita Chief Economist Tel: + 7-9 Click here to visit our digital research library. Page 4
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